This paper uses a new financial contagion test statistic to examine the existence of contagion effects across different industries in the Chinese stock market collapse in June 2015． Compared with the correlation-based tests，it allows us to investigate the stock market contagion at various quantiles; and compared with the standard quantile regression test statistic，it has the advantage of being robust to the model misspecification． In this paper，the contagion effects are first examined over ten primary industries and four sub-industries of the financial sector，and then the possible transmission mechanisms are analyzed across different industries． Empirical results show that the new financial contagion test detects the contagion effects at lower quantiles across different industries，which is sometimes ignored by the correlation-based test and is of importance for the systemic risk control．